USO Options History — January 2010

In January 2010, USO traded between $35.64 and $40.97. ATM implied volatility averaged 28.6%, placing in the 4.7% IV rank vs the trailing year. The 30-day expected move averaged 8.4%. IV traded above realized volatility by 5.6% (HV 20d: 23.0%). Max pain ranged from $38.00 to $40.00. Net GEX was positive for 11 of 19 trading days. Term structure was in contango for 19 of 19 days. Put/call ratio averaged 0.88.

Notable Days

2010-01-06: Highest Volume — 101,623 contracts
2010-01-14: Largest IV spike — 11.1% change
2010-01-22: Highest IV Rank — 10.7%
2010-01-04: Largest Expected Move — 9.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$38.51	$35.64	$40.97	$40.27	$35.64
Max Pain	$39.16	$38.00	$40.00	$38.00	$38.00
ATM IV	28.6%	25.3%	31.6%	31.6%	30.1%
Expected Move	8.4%	7.4%	9.0%	9.0%	8.6%
HV 20d	23.0%	18.9%	26.4%	25.1%	22.7%
HV 60d	27.5%	25.3%	28.4%	28.4%	25.3%
IV Rank	4.7%	0.0%	10.7%	5.8%	9.3%
IV Percentile	3.2%	0.0%	7.9%	2.8%	7.9%
Term Structure	2.1%	0.8%	2.8%	2.3%	2.7%
VWIV	29.9%	26.2%	32.0%	31.7%	30.7%
Skew 25d	1.2%	0.5%	2.2%	2.1%	2.2%
Skew 10d	2.0%	0.1%	3.8%	3.8%	2.9%
Call IV 25d	29.6%	25.7%	31.8%	31.1%	30.0%
Put IV 25d	30.8%	26.6%	33.2%	33.2%	32.1%
Bid-Ask Spread %	3.67	2.88	5.88	4.57	5.88
Gamma HHI	0.10	0.06	0.22	0.13	0.08
Net GEX	10.0M	-3.3M	24.7M	21.1M	-2.8M
Net DEX	-318.9M	-863.5M	184.7M	-745.6M	184.7M
Net VEX	-3.6M	-4.1M	-3.4M	-3.4M	-4.1M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.88	0.28	1.48	0.53	1.25
Total Volume	62,875.053	40,196	101,623	59,479	47,861
Total OI	938,265.895	601,965	1,177,564	1,057,673	841,618

Daily Data (19 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Vol	Put Vol	Call OI	Put OI
2010-01-04	$40.27	$38.00	31.6%	9.0%	25.1%	5.8%	31.7%	2.1%	2.3%	21.1M	-745.6M	-3.4M	0.53	4.57	38,909	20,570	594,636	463,037
2010-01-05	$40.41	$38.00	30.3%	8.9%	24.9%	3.5%	31.5%	1.6%	2.0%	23.0M	-778.7M	-3.4M	0.83	3.50	25,430	21,081	605,412	460,941
2010-01-06	$40.97	$39.00	30.1%	8.9%	23.4%	3.2%	31.8%	1.3%	1.6%	24.2M	-863.5M	-3.4M	0.93	3.52	52,684	48,939	616,607	473,896
2010-01-07	$40.72	$40.00	27.8%	8.7%	22.3%	0.0%	30.7%	1.4%	2.2%	24.3M	-802.7M	-3.6M	1.18	3.65	19,280	22,843	630,812	497,413
2010-01-08	$40.93	$40.00	25.3%	8.2%	18.9%	0.0%	29.0%	0.8%	2.5%	24.7M	-830.4M	-3.5M	0.86	3.47	21,661	18,535	632,855	503,753
2010-01-11	$40.54	$40.00	28.0%	8.1%	19.4%	4.5%	28.7%	1.2%	2.3%	23.9M	-758.0M	-3.5M	0.88	4.30	26,361	23,101	636,311	509,692
2010-01-12	$39.63	$40.00	25.6%	8.4%	21.5%	0.4%	29.8%	1.3%	1.5%	21.6M	-575.4M	-3.5M	0.93	3.52	32,077	29,675	640,289	522,104
2010-01-13	$39.21	$40.00	25.7%	8.6%	22.3%	0.7%	30.6%	1.0%	0.8%	18.6M	-493.0M	-3.4M	1.03	2.90	34,296	35,429	640,005	523,179
2010-01-14	$39.06	$40.00	28.6%	8.2%	22.4%	5.7%	28.7%	1.2%	1.6%	22.0M	-480.5M	-3.4M	0.80	3.71	28,295	22,747	649,866	524,507
2010-01-15	$38.40	$40.00	27.6%	7.9%	22.5%	3.9%	28.0%	0.5%	2.6%	1.5M	-343.1M	-3.4M	0.89	2.88	52,871	47,184	651,957	525,607
2010-01-19	$38.93	$39.00	25.8%	7.4%	22.3%	0.8%	26.2%	0.9%	1.8%	1.4M	-110.2M	-3.4M	0.74	2.93	42,166	31,091	305,505	296,460
2010-01-20	$37.89	$39.00	27.8%	8.0%	24.7%	4.3%	28.4%	0.9%	1.9%	-806.8K	-21.3M	-3.5M	1.48	2.94	27,312	40,437	322,544	308,750
2010-01-21	$37.24	$39.00	29.2%	8.4%	25.0%	6.7%	29.6%	0.9%	2.2%	-2.7M	50.4M	-3.7M	0.57	3.19	41,806	23,906	335,020	326,015
2010-01-22	$36.34	$39.00	31.5%	9.0%	26.4%	10.7%	32.0%	1.0%	1.6%	-3.3M	119.7M	-3.7M	0.92	4.06	33,537	30,903	359,268	334,332
2010-01-25	$36.81	$39.00	29.3%	8.4%	24.1%	6.9%	30.1%	0.5%	2.7%	-2.5M	69.0M	-3.8M	0.28	3.38	59,660	16,853	375,749	347,272
2010-01-26	$36.50	$39.00	29.6%	8.5%	23.7%	7.5%	30.1%	1.0%	2.8%	-796.1K	76.8M	-3.8M	0.95	4.02	21,185	20,221	415,295	349,403
2010-01-27	$36.08	$39.00	30.3%	8.7%	22.7%	8.6%	30.8%	1.3%	1.8%	-2.1M	125.8M	-3.9M	0.65	3.00	54,003	35,158	429,399	358,170
2010-01-28	$36.16	$38.00	29.4%	8.4%	22.8%	7.3%	30.0%	1.7%	2.3%	-696.6K	116.2M	-4.0M	1.07	4.33	22,494	24,065	445,293	374,080
2010-01-29	$35.64	$38.00	30.1%	8.6%	22.7%	9.3%	30.7%	2.2%	2.7%	-2.8M	184.7M	-4.1M	1.25	5.88	21,257	26,604	453,889	387,729